EMaximization_MSVARXmdl: Maximization step of EM algorithm for Markov-switching VARX...
In roga11/MSTest: Hypothesis Testing for Markov Switching Models
EMaximization_MSVARXmdl R Documentation
Maximization step of EM algorithm for Markov-switching VARX model
Description
This function performs the maximization step of the Expectation Maximization algorithm for Markov-switching VARX model.
Usage
EMaximization_MSVARXmdl(theta, mdl, MSloglik_output, k)
Arguments
theta
Vector of model parameters.
mdl
List with model attributes.
MSloglik_output
List with output from ExpectationM_MSVARmdl.
k
Integer determining the number of regimes.
Value
List with new maximized parameters.
roga11/MSTest documentation built on Feb. 25, 2025, 6:10 p.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
| EMaximization_MSVARXmdl | R Documentation |
Maximization step of EM algorithm for Markov-switching VARX model
Description
This function performs the maximization step of the Expectation Maximization algorithm for Markov-switching VARX model.
Usage
EMaximization_MSVARXmdl(theta, mdl, MSloglik_output, k)
Arguments
theta |
Vector of model parameters. |
mdl |
List with model attributes. |
MSloglik_output |
List with output from |
k |
Integer determining the number of regimes. |
Value
List with new maximized parameters.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.